A Monte Carlo Valuation Framework for Variable Annuities
Age One Policy
Age a Portfolio
Build Curve
Calculate Mortality Factors
Generate Fund Scenerio
Generate Index Scenerio
Generate Portfolio at Inception
Valuate One Policy
Valuate a Portfolio
vamc: A package for pricing a pool of variable annuities.
Implementation of a Monte Carlo simulation engine for valuing synthetic portfolios of variable annuities, which reflect realistic features of common annuity contracts in practice. It aims to facilitate the development and dissemination of research related to the efficient valuation of a portfolio of large variable annuities. The main valuation methodology was proposed by Gan (2017) <doi:10.1515/demo-2017-0021>.